Scholarly works in Economics

Permanent URI for this collectionhttps://repository.ui.edu.ng/handle/123456789/332

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    Modelling Central Bank Behaviour in Nigeria: A Markov Switching Approach
    (Elsevier, 2020) Ayinde, T. O.; Bankole, A. S.; Adeniyi, O.A.
    The study models the behaviour of the Central Bank of Nigeria. An extended Taylor’s framework that accounted for exchange rate dynamics and political risk factors was adopted. In order to capture both ex ante and ex-post behaviours of the monetary authority in the country, Markov-Switching Dynamic Regression (MSDR) approach was employed. The period of investigation spanned 1981q1-2017q4. The study found that money supply in Nigeria was endogenous and showed, consequently, that the Central Bank of Nigeria (CBN) acted discretionally rather than stick to some monetary policy rules for the period under investigation. The results also suggested that political risk factors significantly moderated the behaviour of the CBN; especially during period of high-interest rate regime. With or without the effects of political risks being accounted for, low-interest rate regime was found to be more persistent than high-interest rate regime. With a relatively high persistence of low interest rate, the study found evidence for the popular Fisher’s effect and, then, suggested that inflation targeting should be one of the policy strategies of the monetary authority in Nigeria.
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    Impact of Oil Price Shocks on the Macroeconomy: Evidence from Nigeria.
    (West African Institute for Financial and Economic Management (WAIFEM),, 2014) Adeniyi, O. A.; Egwaikhide, F. O.; Oyinlola, M. A.
    The role of oil price shocks in the movements of key macroeconomic fundamentals such as output and inflation has been the focal point of many empirical enquiries. However, earlier studies on the oil price- output-inflation relationship in Nigeria hardly took an explicit account of potential non-linearities. This study, therefore, investigated the impact of oil price shocks on output and inflation in Nigeria between 1970 and 2006. A macroeconometric model which captured both the direct and indirect relationships between oil price shocks, output and inflation, was employed. Three alternative measures of oil price shocks namely linear, asymmetric and volatility were considered. The behavioural equations were estimated using the three-stage-least-squares technique and a general-to specific procedure was used to minimise the loss of valuable information. The linear benchmark model showed that the effect of oil price shocks on inflation was moderately important, while the effect on output was not significant. Specifically, in response to a doubling of oil price, output rose by 0.20% and it resulted in a 0.25% decline in inflation. The results of the asymmetric model indicated that a 100% increase in oil price would cause output to rise by 0.57%, but it would decline by only 0.13% following an oil price reduction of the same order of magnitude. The volatility measure showed that doubling the oil price would raise output by 0.45% and inflation would increase by 0.15%. The estimated results suggested that oil price shocks had trifling impact on output, while it appeared to have slight effect on inflation. This implied that the enclave nature of the oil sector and its weak linkages with the rest of the economy as well as better management via sterilisation may have moderated the effect of oil price shocks on both output and inflation respectively.
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    Inflation and capacity utilization in Nigeria’s manufacturing sector
    (2013-06) Oyeranti, O. A.; Ishola, O. A.
    This study analysed the relationship between inflation and capacity utilisation empirically leaning on the model employed by Baylor (2001). It utilised time series secondary data using least square multiple regression technique. The quarterly data utilised were tested for stationarity using ADF test. The multiple regression results showed a significant negative relationship between inflation and capacity utilisation. This finding was contrary to the economic argument which underpinned the intuition that the relationship between inflation and capacity utilisation should be positive. We also found that although the relationship between the two varied significantly over time, the model revealed that if current capacity utilisation rate doubled, inflation will decline by 3.6 per cent in Nigeria.